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~isPartOf:"The journal of finance : the journal of the American Finance Association"
~subject:"Hedging"
~subject:"Theory"
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A Simple Credit Risk Model wit...
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Portfolio selection
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81
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Escobar, Marcos
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Uppal, Raman
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Quantitative finance
The journal of finance : the journal of the American Finance Association
Insurance / Mathematics & economics
395
Journal of banking & finance
388
European journal of operational research : EJOR
382
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ECONIS (ZBW)
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1
Uncovering the mesoscale structure of the credit default
swap
market to improve portfolio risk modelling
Anagnostou, I.
;
Squartini, T.
;
Kandhai, D.
;
Garlaschelli, D.
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
Saved in:
2
Speed-up credit exposure calculations for pricing and risk management
Glau, Kathrin
;
Pachón, Ricardo
;
Pötz, Christian
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 481-499
Persistent link: https://www.econbiz.de/10012483835
Saved in:
3
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Bormetti, Giacomo
;
Brigo, Damiano
;
Francischello, Marco
; …
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 31-44
Persistent link: https://www.econbiz.de/10011905822
Saved in:
4
Bayesian regularized artificial neural networks for the estimation of the probability of default
Sariev, Eduard
;
Germano, Guido
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 311-328
Persistent link: https://www.econbiz.de/10012194868
Saved in:
5
Predicting credit ratings and transition probabilities : a simple cumulative link model with firm-specific frailty
Hwang, Ruey-Ching
;
Chu, Chih-Kang
;
Chen, Yi-Chi
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 149-168
Persistent link: https://www.econbiz.de/10013490962
Saved in:
6
Predicting forward default probabilities of firms : a discrete-time forward hazard model with firm-specific frailty
Hwang, Ruey-Ching
;
Chen, Yi-Chi
- In:
Quantitative finance
24
(
2024
)
7
,
pp. 909-919
Persistent link: https://www.econbiz.de/10015050805
Saved in:
7
A multivariate 4/2 stochastic covariance model : properties and applications to portfolio decisions
Cheng, Yuyang
;
Escobar, Marcos
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 497-519
Persistent link: https://www.econbiz.de/10014232681
Saved in:
8
Liquidity risk in derivatives valuation : an improved credit proxy method
Sourabh, Sumit
;
Hofer, Markus
;
Kandhai, Drona
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 467-481
Persistent link: https://www.econbiz.de/10011906396
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9
A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets
Dong, Juan
;
Korobenko, Lyudmila
;
Sezer, A. Deniz
- In:
Quantitative finance
20
(
2020
)
3
,
pp. 483-497
Persistent link: https://www.econbiz.de/10012194903
Saved in:
10
Rating frailty, Bayesian updates, and portfolio credit risk analysis
Bu, Shang
;
Guo, Nan
;
Li, Lingfei
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 777-797
Persistent link: https://www.econbiz.de/10013367859
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